Open Access. Powered by Scholars. Published by Universities.®
- Discipline
- Keyword
-
- Boundary value problems (1)
- Conceptual computational (1)
- Delayed Volatility (1)
- Disease spread (1)
- Eigenvalues (1)
-
- Epidemic invasion (1)
- Epidemic model (1)
- Fixed point theorem (1)
- GARCH model (1)
- Generalized method of moments (1)
- Green's function (1)
- Local Lagged adapted GMM (LLGMM) (1)
- Local lagged adapted (1)
- Local moving sample mean (1)
- Maximum likelihood (1)
- Noise (1)
- Non-Oscillatory (1)
- Non-seasonal Log-Spot Price Process Dynamic (1)
- Oscillatory (1)
- Positive solutions (1)
- Reaction/response time delay (1)
- Risk-Neutral Model (1)
- Sample mean (1)
- Simulation (1)
- Stochastic (1)
- Stochastic Interconnected Model (1)
- Stochastic SEI (1)
- Theoretical parameter estimation scheme (1)
- Threshold (1)
- Transmission rate (1)
Articles 1 - 5 of 5
Full-Text Articles in Dynamical Systems
Local Lagged Adapted Generalized Method Of Moments And Applications, Olusegun Michael Otunuga, Gangaram S. Ladde, Nathan G. Ladde
Local Lagged Adapted Generalized Method Of Moments And Applications, Olusegun Michael Otunuga, Gangaram S. Ladde, Nathan G. Ladde
Olusegun Michael Otunuga
In this work, an attempt is made for developing the local lagged adapted generalized method of moments (LLGMM). This proposed method is composed of: (1) development of the stochastic model for continuous-time dynamic process, (2) development of the discrete-time interconnected dynamic model for statistic process, (3) utilization of Euler-type discretized scheme for nonlinear and non-stationary system of stochastic differential equations, (4) development of generalized method of moment/observation equations by employing lagged adaptive expectation process, (5) introduction of the conceptual and computational parameter estimation problem, (6) formulation of the conceptual and computational state estimation scheme and (7) definition of the conditional …
Stochastic Modeling Of Energy Commodity Spot Price Processes With Delay In Volatility, Olusegun Michael Otunuga, Gangaram S. Ladde
Stochastic Modeling Of Energy Commodity Spot Price Processes With Delay In Volatility, Olusegun Michael Otunuga, Gangaram S. Ladde
Olusegun Michael Otunuga
Employing basic economic principles, we systematically develop both deterministic and stochastic dynamic models for the log-spot price process of energy commodity. Furthermore, treating a diffusion coefficient parameter in the non-seasonal log-spot price dynamic system as a stochastic volatility functional of log-spot price, an interconnected system of stochastic model for log-spot price, expected log-spot price and hereditary volatility process is developed. By outlining the risk-neutral dynamics and pricing, sufficient conditions are given to guarantee that the risk-neutral dynamic model is equivalent to the developed model. Furthermore, it is shown that the expectation of the square of volatility under the risk-neutral measure …
Time Varying Parameter Estimation Scheme For A Linear Stochastic Differential Equation, Olusegun Michael Otunuga
Time Varying Parameter Estimation Scheme For A Linear Stochastic Differential Equation, Olusegun Michael Otunuga
Olusegun Michael Otunuga
In this work, an attempt is made to estimate time varying parameters in a linear stochastic differential equation. By defining mk as the local admissible sample/data observation size at time tk, parameters and state at time tk are estimated using past data on interval [tk−mk+1, tk]. We show that the parameter estimates at each time tk converge in probability to the true value of the parameters being estimated. A numerical simulation is presented by applying the local lagged adapted generalized method of moments (LLGMM) method to the stochastic differential models governing prices of energy …
Finding Positive Solutions Of Boundary Value Dynamic Equations On Time Scale, Olusegun Michael Otunuga
Finding Positive Solutions Of Boundary Value Dynamic Equations On Time Scale, Olusegun Michael Otunuga
Olusegun Michael Otunuga
This thesis is on the study of dynamic equations on time scale. Most often, the derivatives and anti-derivatives of functions are taken on the domain of real numbers, which cannot be used to solve some models like insect populations that are continuous while in season and then follow a difference scheme with variable step-size. They die out in winter, while the eggs are incubating or dormant; and then they hatch in a new season, giving rise to a non overlapping population. The general idea of my thesis is to find the conditions for having a positive solution of any boundary …
Global Stability Of Nonlinear Stochastic Sei Epidemic Model With Fluctuations In Transmission Rate Of Disease, Olusegun Michael Otunuga
Global Stability Of Nonlinear Stochastic Sei Epidemic Model With Fluctuations In Transmission Rate Of Disease, Olusegun Michael Otunuga
Olusegun Michael Otunuga
We derive and analyze the dynamic of a stochastic SEI epidemic model for disease spread. Fluctuations in the transmission rate of the disease bring about stochasticity in model. We discuss the asymptotic stability of the infection-free equilibrium by first deriving the closed form deterministic (R0) and stochastic (R0) basic reproductive number. Contrary to some author’s remark that different diffusion rates have no effect on the stability of the disease-free equilibrium, we showed that even if no epidemic invasion occurs with respect to the deterministic version of the SEI model (i.e., R0 < 1), epidemic can still grow initially (if R0 > 1) …